## Generates a p \times p autocorrelated covariance matrix

### Description

This function generates a p \times p autocorrelated covariance matrix with autocorrelation parameter rho. The variance sigma2 is constant for each feature and defaulted to 1.

### Usage

 1 cov_autocorrelation(p, rho, sigma2 = 1) 

### Arguments

 p the size of the covariance matrix rho the autocorrelation parameter. Must be less than 1 in absolute value. sigma2 the variance of each feature

### Details

The autocorrelated covariance matrix is defined as: The (i,j)th entry of the autocorrelated covariance matrix is defined as: ρ^{|i - j|}.

The value of rho must be such that |ρ| < 1 to ensure that the covariance matrix is positive definite.

### Value

autocorrelated covariance matrix

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